Hmm, taming a wild one, eh?
Stay away from poisonous plants like Rhododendrons and the like, but you can try blackberry branches (if you're able to get to any). I have yet to see a llama reject blackberry branches -- they eat them, thorns and all!
What kind of grain were you using? I know our llamas won't eat horse grain but absolutely gobble up sheep ration. I'm not too sure what the differences are, though.
The cookies sound like a good idea, but wild llamas may have different tastes, and you've already said he didn't like the grain, so I would try for plants or things that a wild llama would be more familiar with, such as blackberry bushes.